Study of Higher Order Split-Step Methods for Stiff Stochastic Differential Equations
Stochastic differential equations(SDEs) play an important role in many branches of engineering and science including economics, finance, chemistry, biology, mechanics etc. SDEs (with m-dimensional Wiener process) arising in many applications do not have explicit solutions, which implies the developm...
Main Author: | |
---|---|
Other Authors: | |
Language: | en_US |
Published: |
2018
|
Subjects: | |
Online Access: | http://etd.iisc.ernet.in/2005/3354 http://etd.iisc.ernet.in/abstracts/4221/G25752-Abs.pdf |